Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 700.0% | 700.0% |
Time in Market | 98.0% | 95.0% |
Cumulative Return | -12.71% | -10.51% |
CAGR﹪ | -26.24% | -22.01% |
Sharpe | -9.54 | -9.94 |
Prob. Sharpe Ratio | 0.0% | 0.0% |
Smart Sharpe | -7.65 | -7.97 |
Sortino | -8.82 | -8.71 |
Smart Sortino | -7.07 | -6.98 |
Sortino/√2 | -6.24 | -6.16 |
Smart Sortino/√2 | -5.0 | -4.94 |
Omega | 0.21 | 0.21 |
Max Drawdown | -13.98% | -13.44% |
Longest DD Days | 123 | 121 |
Volatility (ann.) | 25.62% | 23.91% |
R^2 | 0.34 | 0.34 |
Information Ratio | -0.02 | -0.02 |
Calmar | -1.88 | -1.64 |
Skew | -0.1 | -1.78 |
Kurtosis | 0.98 | 7.32 |
Expected Daily | -0.15% | -0.13% |
Expected Monthly | -2.24% | -1.83% |
Expected Yearly | -6.57% | -5.4% |
Kelly Criterion | -18.95% | -9.94% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -2.8% | -2.59% |
Expected Shortfall (cVaR) | -2.8% | -2.59% |
Max Consecutive Wins | 4 | 5 |
Max Consecutive Losses | 6 | 3 |
Gain/Pain Ratio | -0.2 | -0.2 |
Gain/Pain (1M) | -0.76 | -0.88 |
Payoff Ratio | 0.85 | 0.65 |
Profit Factor | 0.8 | 0.8 |
Common Sense Ratio | 0.84 | 0.71 |
CPC Index | 0.31 | 0.29 |
Tail Ratio | 1.06 | 0.88 |
Outlier Win Ratio | 2.7 | 4.16 |
Outlier Loss Ratio | 3.65 | 3.41 |
MTD | -2.53% | -1.74% |
3M | -11.13% | -9.06% |
6M | -12.71% | -10.51% |
YTD | -8.19% | -5.54% |
1Y | -12.71% | -10.51% |
3Y (ann.) | -26.24% | -22.01% |
5Y (ann.) | -26.24% | -22.01% |
10Y (ann.) | -26.24% | -22.01% |
All-time (ann.) | -26.24% | -22.01% |
Best Day | 4.32% | 2.92% |
Worst Day | -5.02% | -7.74% |
Best Month | 1.83% | 0.91% |
Worst Month | -5.8% | -4.12% |
Best Year | -4.93% | -5.25% |
Worst Year | -8.19% | -5.54% |
Avg. Drawdown | -6.89% | -6.3% |
Avg. Drawdown Days | 52 | 53 |
Recovery Factor | -0.91 | -0.78 |
Ulcer Index | 0.06 | 0.05 |
Serenity Index | -19.27 | -21.51 |
Avg. Up Month | 1.71% | 0.56% |
Avg. Down Month | -4.15% | -3.0% |
Win Days | 45.35% | 56.63% |
Win Month | 33.33% | 33.33% |
Win Quarter | 0.0% | 0.0% |
Win Year | 0.0% | 0.0% |
Beta | 0.63 | - |
Alpha | -0.18 | - |
Correlation | 58.45% | - |
Treynor Ratio | -1137.97% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2021 | -5.25 | -4.93 | 0.94 | + |
2022 | -5.54 | -8.19 | 1.48 | - |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2021-10-25 | 2022-02-25 | -13.98 | 123 |
2021-09-16 | 2021-10-19 | -5.32 | 33 |
2021-10-21 | 2021-10-22 | -1.37 | 1 |